Innovation, Growth, and Asset Prices

• 成果类型: Article
• 署名作者: Kung, Howard; Schmid, Lukas
• 署名单位: University of London; London Business School; Duke University; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12241
• 发表日期: 2015
• 页码: 1001-1037
• 关键词: cross-section; RISK; persistence; INVESTMENT; DYNAMICS; returns; output

摘要

We examine the asset pricing implications of a production economy whose long-term growth prospects are endogenously determined by innovation and R&D. In equilibrium, R&D endogenously drives a small, persistent component in productivity that generates long-run uncertainty about economic growth. With recursive preferences, households fear that persistent downturns in economic growth are accompanied by low asset valuations and command high-risk premia in asset markets. Empirically, we find substantial evidence for innovation-driven low-frequency movements in aggregate growth rates and asset market valuations. In short, equilibrium growth is risky.